63 citations · 209 across the 32 of their papers we have counts for
36 papers
Asymptotic expansion for batched bandits
Yechan Park, Nakahiro Yoshida
In bandit algorithms, the randomly time-varying adaptive experimental design makes it difficult to apply traditional limit theorems to off-policy evaluation of the treatment effect…
Penalized estimation for non-identifiable models
Junichiro Yoshida, Nakahiro Yoshida
We derive asymptotic properties of penalized estimators for singular models for which identifiability may break and the true parameter values can lie on the boundary of the paramet…
Quasi-maximum likelihood estimation and penalized estimation under non-standard conditions
Junichiro Yoshida, Nakahiro Yoshida
The purpose of this article is to develop a general parametric estimation theory that allows the derivation of the limit distribution of estimators in non-regular models where the…
Asymptotic expansion of an estimator for the Hurst coefficient
Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the di…
Order estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation
Hayate Yamagishi, Nakahiro Yoshida
We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on…
Global jump filters and realized volatility
Haruhiko Inatsugu, Nakahiro Yoshida
For a semimartingale with jumps, we propose a new estimation method for integrated volatility, i.e., the quadratic variation of the continuous martingale part, based on the global…